I wouldn't put a fuse in there, and the engineers at GM obviously agreed. If anything were to go wrong with that fuse, you could be heading down the highway with no power, and no lights!
I don't know why your main lead to the ammeter got hot, maybe a defective ammeter or not installed right (?) but I'd venture to say that 99% of the trucks around here are wired as factory, right to the ammeter. Just use extreme care with that lead, it should go through a rubber grommet to get inside the cab, then I'd use a soldered connection and make sure it's clean and tight.
